General LQG homing problems in one dimension

DOI10.1155/2012/803724zbMath1260.60161OpenAlexW2161854562WikidataQ58689586 ScholiaQ58689586MaRDI QIDQ1929683

Mario Lefebvre, Foued Zitouni

Publication date: 9 January 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/803724

zbMATH Keywords

optimal controldiffusion processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (5)

Unnamed Item ⋮ Optimally ending an epidemic ⋮ Linearization of a matrix Riccati equation associated to an optimal control problem ⋮ Exact and approximate solutions to LQG homing problems in one and two dimensions ⋮ Optimal and Suboptimal Control of a Standard Brownian Motion

Cites Work

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• Maximizing the mean exit time of a Brownian motion from an interval
• Applied stochastic processes.
• Risk-sensitive control for a class of homing problems
• Using a geometric Brownian motion to control a Brownian motion and vice versa
• A homing problem for diffusion processes with control-dependent variance.

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